Statistics: Diebold Mariano test

There is an excel file of 18 stocks with each forecast errors of 2 periods. Moreover, I added another excel file 'results', which consists of the calculted mean squared errors (MSE). I want to know if the MSE of period 2 is significantly higher than the MSE of period 1. Therefore, I think it's best to use the Diebold-Mariano test.

I need someone who is able to test this based on the DM-test and fill in the results in the excel-file. I think there are a lot of programs where the test is directly availble (eviews, matlab, octave, ...).

First, I have 2 questions:

- What is the advantage of working with the modified DM test? Do you think it's better to work with this test?

- Is it allow to use the squared forecast errors instead of the forecast errors for the DM test? Because I compare the MSE, which is the average of the square of the forecast errors.

I'm not 100 % sure, but I don't think it will take longer than 1 or 2 hours.

Kemahiran: Statistik

Lihat lagi: diebold mariano eviews, diebold mariano test eviews, diebold mariano test, diebold mariano test excel, diebold mariano test matlab, test diebold mariano eviews, eviews diebold mariano test, mse excel, Diebold, diebold mariano excel, to test, test questions, statistics work, statistics matlab, octave, matlab test, matlab statistics, matlab excel, forecast, eviews, dm, octave matlab, questions statistics, excel modified, lot average

ID Projek: #1582810